Investor inattention, firm reaction, and Friday earning announcements:
Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a perce...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11683 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays. In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements. These findings suggest that weekends distract investor attention temporarily. They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention. We also document that firms release worse announcements on Friday. Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return. The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday. The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention. |
| Beschreibung: | 45 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11683 | |
| 520 | 3 | |a Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays. In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements. These findings suggest that weekends distract investor attention temporarily. They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention. We also document that firms release worse announcements on Friday. Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return. The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday. The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention. | |
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| id | DE-604.BV023591722 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016907052 |
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| physical | 45 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Della Vigna, Stefano 1973- Verfasser (DE-588)129696129 aut Investor inattention, firm reaction, and Friday earning announcements Stefano DellaVigna ; Joshua Pollet Cambridge, Mass. National Bureau of Economic Research 2005 45 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11683 Do firms release news strategically in response to investor inattention? We consider news about earnings and analyze the response of returns to announcements on Friday and other weekdays. Friday announcements have less immediate and more delayed stock return response. The delayed response as a percentage of the total response is 60 percent on Friday and 40 percent on other weekdays. In addition, abnormal trading volume around announcement day is 10 percent lower for Friday announcements. These findings suggest that weekends distract investor attention temporarily. They support explanations of post-earning announcement drift based on underreaction to information caused by limited attention. We also document that firms release worse announcements on Friday. Friday announcements are associated with a 45 percent higher probability of a negative earnings surprise and a 50 basis points lower abnormal return. The firm-based evidence of strategic news release corroborates the investor-based evidence of inattention on Friday. The results for stock returns, volume, and strategic behavior support the hypothesis of limited attention. Corporations - Public relations Stocks - Psychological aspects Öffentlichkeitsarbeit / Publizitätspflicht / Zeit / Informationsverhalten / Anlageverhalten Pollet, Joshua M. Verfasser (DE-588)130488739 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11683 (DE-604)BV002801238 11683 http://papers.nber.org/papers/w11683.pdf kostenfrei Volltext |
| spellingShingle | Della Vigna, Stefano 1973- Pollet, Joshua M. Investor inattention, firm reaction, and Friday earning announcements National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Corporations - Public relations Stocks - Psychological aspects Öffentlichkeitsarbeit / Publizitätspflicht / Zeit / Informationsverhalten / Anlageverhalten |
| title | Investor inattention, firm reaction, and Friday earning announcements |
| title_auth | Investor inattention, firm reaction, and Friday earning announcements |
| title_exact_search | Investor inattention, firm reaction, and Friday earning announcements |
| title_exact_search_txtP | Investor inattention, firm reaction, and Friday earning announcements |
| title_full | Investor inattention, firm reaction, and Friday earning announcements Stefano DellaVigna ; Joshua Pollet |
| title_fullStr | Investor inattention, firm reaction, and Friday earning announcements Stefano DellaVigna ; Joshua Pollet |
| title_full_unstemmed | Investor inattention, firm reaction, and Friday earning announcements Stefano DellaVigna ; Joshua Pollet |
| title_short | Investor inattention, firm reaction, and Friday earning announcements |
| title_sort | investor inattention firm reaction and friday earning announcements |
| topic | Corporations - Public relations Stocks - Psychological aspects Öffentlichkeitsarbeit / Publizitätspflicht / Zeit / Informationsverhalten / Anlageverhalten |
| topic_facet | Corporations - Public relations Stocks - Psychological aspects Öffentlichkeitsarbeit / Publizitätspflicht / Zeit / Informationsverhalten / Anlageverhalten |
| url | http://papers.nber.org/papers/w11683.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT dellavignastefano investorinattentionfirmreactionandfridayearningannouncements AT polletjoshuam investorinattentionfirmreactionandfridayearningannouncements |